Nelsen explained in his 1999 book An introduction to copulas how to fit a (nonlinear) quantile regression model by means of a bivariate copula (pp. 175-176).
In short, Nelsen’s method for fitting a (nonlinear) quantile regression model is as follows:
- Take the partial derivative of the copula function C(u, v) with respect to u, where u and v are both defined in [0, 1]. Denote this partial derivative by cu(u, v), and note that cu(u, v) = P{V ≤ v | U = u}.
- For fitting the quantile regression model, set cu(u, v) = p, where p is defined in [0, 1].
- For regressing v on u, evaluate cu(u, v) at u, and subsequently solve cu(u, v) = p for v (or, similarly, solve 0 = cu(u, v) – p for v).
- Replace u by Fx-1(u) and v by Fy-1(v), where Fx-1(·) and Fy-1(·) are the quantile functions for x (=independent variable) and y (=dependent variable), respectively.
The following R code implements this copula method proposed by Nelsen for fitting a (nonlinear) quantile regression model. In addition, the R code may also compute confidence intervals for the fitted quantiles using a Monte-Carlo method. Continue reading R code for performing quantile regression using bivariate copulas